Have a look at the PocketPC Installer at
This'll let you create one installer .exe that you run on your
device, and which contains all of your .cab files and other
files *compressed* within it.
It'll ALSO create a Desktop installer .exe, which runs on
your PC. This will copy the compressed files to your device,
then start installing them. Once again, everything is
wrapped up into one single compressed file. The only other
thing you need is a device connected via ActiveSync.
Two different ways of deploying your PocketPC apps, you
just need to choose which is more suitable for you.
Have a look at the website, it contains screenshots, a full
description and a 30-day eval version.